Many important economic decisions involve agents choosing among risky consumption streams. The canonical way of representing preferences is known as the discounted expected utility (DEU) model, which is additive across both dates and states. Despite its advantage of simplicity, DEU has a strong implication: the coefficient of relative risk aversion is the reciprocal of that of intertemporal substitution. Departing from DEU, alternative models have been proposed by dispensing with either separability across states or separability across time. In this paper, we report a new experiment that was designed to elicit preferences of subjects over risky consumption streams and apply revealed preference methods to test these alternative hypotheses. Our results broadly support the separation of preferences across states but *not* across time.

Furthermore, restricting the sub-utility function over intertemporal consumption to be the same in the two states and to display positive time preference is also consistent with the data.